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Econometric Analysis of Financial Data in Risk Management (continuation). Section III: Managing Operational Risk

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  • Fantazzini, Dean

    ()
    (Moscow School of Economics – Moscow State University)

Abstract

We continue publishing the four-part consultation of professor of Moscow School of Economics of Lomonosov MSU Dean Fantazzini. The first part, that appeared in 2 (10), 2008 of the journal, dealt with the introduction to the problem (section one: basic concepts and types of financial risks, methods of measurement) and also with the econometric approach to analysis of market risks (section two).Here a detailed review of methods of operational risk management (section three) is given. Finally, the next two issues will contain the rest of material (section four). There will be considered probably the most important for the Russian financial system subject management of credit risks.The translation was carried out by Alexander Kudrov under professor’s Sergei Aivazian scientific direction

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File URL: http://pe.cemi.rssi.ru/pe_2008_3_87-122.pdf
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Bibliographic Info

Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

Volume (Year): 11 (2008)
Issue (Month): 3 ()
Pages: 87-122

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Handle: RePEc:ris:apltrx:0024

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Web page: http://appliedeconometrics.cemi.rssi.ru/

Related research

Keywords: Operational Risk; Value at Risk; Expected Shortfall; Basic Indicator Approach; Standardized Approach; Advanced Measurement Approaches; Loss Distribution Approach; Copula; Poisson Shock Model; Bayesian Copulas; Bayesian Marginals;

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References

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Cited by:
  1. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.

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